For gaming the X800 will indeed be faster, about twice as fast. Here are my limited benchmarks of an X800GT vs. HD3200. The results aren't directly comparable, as I'm using two totally different machines, but they paint the X800 in a good light. The HD3200 will perform the same as the HD4200 as they are the same chip, basically.
X800 GT: overclocked to 540/540, Athlon XP Barton @ 2.275 GHz, 2GB RAM, Windows XP Pro 32-bit
HD3200: stock, Athlon X2 Brisbane @ 3.1 GHz, 4GB RAM, Vista Ultimate 32-bit
Crysis (Demo) built-in benchmark: All low settings
1024x768
X800GT: 22.83 min, 37.86 avg, 57.83 max
HD3200: 15.00 min, 21.28 avg, 32.00 max
1280x1024
X800GT: 22.83 min, 35.06 avg, 51.66 max
HD3200: 10.00 min, 14.08 avg, 20.00 max
Half-Life 2: Lost Coast Stress Test: 1280x1024
All low settings
X800GT: 57.93
HD3200: 41.18
All high settings, no AA/AF
X800GT: 56.03
HD3200: 31.58
All high settings, 2xAA, 2xAF
X800GT: 45.41
HD3200: 20.82
Call of Duty 4: All low settings
1024x768
X800GT: 16.33 min, 32.98 avg, 70.33 max
HD3200: 13.00 min, 25.29 avg, 52.50 max
1280x1024
X800GT: 16.33 min, 31.81 avg, 66.00 max
HD3200: 8.33 min, 19.52 avg, 46.00 max
As you can see, the X800GT approaches to be about twice as fast despite being paired with a slower processor. And this processor is also slightly bottlenecking the card at the settings I'm using, as you can see the minimum framerates in Crysis and CoD4, respectively, are the same at different resolutions.
So for gaming, the X800 will be faster than the HD4200. But if you don't plan to game, then stick with the HD4200. It's more than enough. I do need to stress, though, that there are so many variants of the X800 series. Which one do you have? My X800GT is one of the slowest, although I mitigated that through overclocking. The XT and XL variants should be quite a bit faster than a vanilla X800, the GT, or a SE. The GTO and Pro variants fall in between.